Historical Data Export :: Dukascopy Trading Tools

Releasing a Decade of Forex Tick Data I Crawled and Converted

Releasing a Decade of Forex Tick Data I Crawled and Converted

Intro:

In my exploration of the world of big data and I became curious about tick data. Unfortunately, market data is almost always behind a paywall or de-sampled to the point of uselessness. After discovering the Dukascopy API, I knew I wanted to make this data available for all in a more accessible format. Over the course of a few months, I downloaded, cleaned, parsed, and compressed over a decade of Forex tick data on 37 currency pairs and commodities. Today I am happy to finally release the final result of my work to the DataHoarder community!

Download Links:

Warning: I have rented a seedbox for the next 3 months from seedbox.io but I have been having some issues. If you have any issues with the torrent please leave a comment. Also, PLEASE SEED when you are done. This is quite a large data set and I can only push so much data on my own.
Torrent File: https://drive.google.com/file/d/18ymZWeFLJK7FggK_iiWZ-TxgWIVdJVvv/view?usp=sharingCompanion Blog Post: https://www.driftinginrecursion.com/post/dukascopy_opensource_data/

Stats Overview:

Totals Quantities
Total Files 463
Total Line Count 8,495,770,706
Total Data Points 33,983,082,824
Total Decompressed Size 501 GB
Total Compressed Size 61 GB

About the Data:

The data was collected from https://www.dukascopy.com/ via a public API that allows for the download of tick data on the hour level. These files come in the form of a .bi5 file. The data starts as early as 2004 all the way to 2019.
These files were decompressed, then merged into yearly CSV’s named in the following convention. “AUDCHF_tick_UTC+0_00_2011.csv” or ‘Pair_Resolution_Timezone_Year.csv’
These CSV’s are split into 3 categories “Majors”, “Crosses”, “Commodities”.
Majors, Crosses, and Commodities have had their timestamps modified so that they are in the official UTC ISO standard. This was originally done for a Postgresql database that quickly became obsolesced. Any files that have been modified are appended with a “-Parse”. These timestamps have been modified in the following format.
Millisecond timestamps to UTC +00:00 time [2017.01.01 22:37:08.014] -- [2017-01-01T22:37:08.014+00:00]
https://preview.redd.it/x6g277skfiu51.png?width=1399&format=png&auto=webp&s=35cd6735c1826424580919ac3377612377a3107c

User Resources:

For those looking to use this data in a live context or update it frequently, I have included a number of tools for both Windows and Linux that will be useful.

Windows

The ~/dukascopy/resources/windows folder contains a third party tool written in java that can download and convert Dukascopy’s .bi5 files. I have also included the latest zstd binaries from Zstandard Github page.

Linux

Linux is my daily driver in 99% of cases, so I have developed all my scraping tools using Linux only tools. In the ~/dukascopy/resources/linux folder you will find a number of shell script and pyhton3 files that I used to collect this data. There are quite a few files in this directory but I will cover the core ones below.

download-day.py:

This file is used to download a single symbol for a single day and then convert and merge all 24 .bi5 files into a single CSV.

download-year.py

This file is used to download a single symbol for a full year and then convert and merge all .bi5 files into a single CSV.

dukascopy.py

This file contains all the core logic for downloading and converting data from dukascopy.

utc-timestamp-convert.py

This tad slow but works well enough. It requires the pandas project and parses timestamps into the UTC ISO standard. This is useful for those looking to maintain the format of new files with the those in this repo, or those looking to use this in a SQL database.
submitted by jtimperio to DataHoarder [link] [comments]

Dukascopy forex data

I've been trying to get data from the Dukascopy forex historicals for quite some time now, and I'd like to summarize what I've done so far, and what I still need, in order to help anyone else that also wants to use it.
First, just downloading the data is a pain. The URL that you have to get it from is
 https://datafeed.dukascopy.com/datafeed/{PAIR}/{YEAR}/{MONTH}/{DAY}/{HOUR}h_ticks.bi5 {PAIR} is the currency pair, for example "AUDUSD", "EURUSD", or "USDJPY" {YEAR} is the year, for example "2010", "2014", or "2017" {MONTH} is the month, a two digit number. For some reason, months are zero-indexed. For example, "00" corresponds to January, "05" is June, "11" is December. {DAY} is the day of the month, and as far as I can tell, it is NOT zero-indexed. Again, it is two digits wide. {HOUR} is the hour of the day. For some reason, Dukascopy stores each hour of the day separately. It is zero-indexed, so "00" to "23" 
Now that you have a *.bi5 file, you have to extract it. *.bi5 files are lzma compressed files, so find a way to extract them. I used 7z command line.
Now once you've extracted it, you'll notice it's still a binary file. The data is stored in 20 byte wide rows, with each 4 byte segment corresponding to a piece of data. Example:
[ TIME ] [ ASKP ] [ BIDP ] [ ASKV ] [ BIDV ] 0000 0800 0002 2f51 0002 2f47 4096 6666 4013 3333 TIME is a 32-bit big-endian integer representing the number of milliseconds that have passed since the beginning of this hour. ASKP is a 32-bit big-endian integer representing the asking price of the pair, multiplied by 100,000. BIDP is a 32-bit big-endian integer representing the bidding price of the pair, multiplied by 100,000. ASKV is a 32-bit big-endian floating point number representing the asking volume, divided by 1,000,000. BIDV is a 32-bit big-endian floating point number representing the bidding volume, divided by 1,000,000. 
This is how far I've gotten so far before I noticed that something is wrong. The contents of the *.bi5 file do not match the contents of the file that you can download from the official front-end, here: https://www.dukascopy.com/swiss/english/marketwatch/historical/ .
For example, the January 8, 2010 *.csv file does not match in any way with the *.bi5 file of the corresponding day. Does anyone know what I am doing wrong?
EDIT: Another question is about the hours: what time zone are these files relative to? It seems that the data starts showing up from the last two hours of Sunday, going through the week, and then stopping some time before Friday ends, all relative to whatever timezone this is in.
submitted by Allurisk to algotrading [link] [comments]

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Forex Data & Tools. Powered by Dukascopy Bank. Market News. On-line Forex Chart Market News Dukascopy TV Economic Calendar Daily High / Low Movers & Shakers Forex SWFX Sentiment Index Pivot Point Levels COT Charts National Holidays Calendar Historical Data Export Currency Converter SWFX Widget Overnight Swaps Margin Requirements Average Spreads Currency Index Intraday Movers & Shakers ... Dukascopy Forex tick data downloader. Contribute to Adyzng/go-duka development by creating an account on GitHub. Dukascopy Tick Data 2 NinjaTrader 5 replies. Convert Dukascopy data from UTC to EST 1 reply. Platform Tech / Reply to Thread; Subscribe; 1; Attachments: Dukascopy historic data. Exit Attachments. Dukascopy historic data Last Post ; Page 1 2; Page 1 2 ; Post # 1; Quote; First Post: Jun 29, 2014 4:13pm Jun 29, 2014 4:13pm Kilian19. Joined Jan 2011 Status: Currently in Asia 839 Posts ... Tool to save data tick tick. Hello mladen. These data is what we download from Dukascopy when you select download data tick-tick. These data it will be used by Birt’s script to generate the fxt files, that we will use after to get good quality data to do backtesting and optimizing the systems.. I need a tool to keep the same data, but from my broker.I don’t want use the Dukascopy’s data. These files come in the form of a .bi5 file. The data starts as early as 2004 all the way to 2019. These files were decompressed, then merged into yearly CSV’s named in the following convention. “AUDCHF_tick_UTC+0_00_2011.csv” or ‘Pair_Resolution_Timezone_Year.csv’ Fixed Historical Data Feed bug, when the widget would not download data correctly for certain instruments. Release 0.41.4 February 4 Changed logic of input fields: invalid values are no longer coerced to a minimum value; a warning is shown instead. Tick Data Suite Guide [OUTDATED] On arriving to this guide, it's assumed that you already downloaded the desired tick data and it was converted to an FXT file and several HST files, each of which is setting in its proper place. If the steps above were not done yet, you will need first to follow the How to download free tick data and the How to prepare the tick data for MetaTrader 4 guides

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